基于KMV模型的创业板上市公司信用风险分析

发布时间：2018-05-30 15:36

本文选题：信用风险 + 创业板上市公司　；参考：《上海师范大学》2012年硕士论文

【摘要】：2009年10月30日，中国创业板正式设立。这意味着我国多层次资本市场的建设迈上新的台阶，面向成长型和高科技企业的“中国式NASDAQ”正式开启。创业板是为具有高风险、高回报特性的高科技中小企业为主要服务对象而设置的，其特点是投资者在投资该市场中的企业时，购买的实际上是该企业成长的预期。而企业的成长离不开资金的支持，，特别是中小企业更需要借款来运营公司，特别需要长期借款，但是由于资本市场对于中小企业的信用状况的担心，而导致中小企业获得长期借款寥寥可数，不利于中小企业的成长，也不利于创业板的发展。本文旨在回答创业板企业的信用风险状况到底怎么样，通过基于KMV模型的分析，得出我国的创业板企业可以从资本市场获得2-3年期限的长期借款来支持公司的发展。本文通过规范分析和实证分析相结合、理论分析与实践检验相结合的方法对创业板企业的信用风险运用KMV模型进行分析研究。本文对企业“信用风险”的内涵进行了完整界定，并以中国创业板上市公司为研究对象，抽取其中20家上市企业作为样本，进行实证分析，并且采取对照组的方法，在沪深两市选取20家同行业的ST上市公司作为对照组，来进一步证明创业板上市公司的信用风险状况。最后，对实证结果进行分析并得出结论。本研究得出结论：创业板企业上市后，创业板企业不能获得足够支持其发展的长期借款，但是通过实证分析可以得出创业板企业能够有条件获得为期2-3年的长期借款，这为银行和投资者提供一个可行的参考。
[Abstract]:On October 30, 2009, China's gem was formally established. This means that the construction of the multi-level capital market in China has stepped up to a new level, and the "Chinese NASDAQ" for growth and high-tech enterprises has been officially opened. The gem is set up for high-tech SMEs with high risk and high return characteristics as the main service object. Its characteristic is that when investors invest in the enterprises in this market, what they buy is actually the expectation of the growth of the enterprises. But the growth of enterprises can not be separated from the financial support, especially the small and medium-sized enterprises need to borrow money to run the company, especially long-term borrowing. But because of the capital market's concern about the credit condition of the small and medium-sized enterprises, But the small and medium-sized enterprises obtain the long-term loan very few, is not conducive to the small and medium-sized enterprise growth, also unfavorable to the growth enterprise market development. The purpose of this paper is to answer the credit risk situation of gem enterprises. Based on the analysis of KMV model, it is concluded that gem enterprises in China can obtain long-term loans with a maturity of 2-3 years from the capital market to support the development of the companies. In this paper, through the combination of normative analysis and empirical analysis, the combination of theoretical analysis and practical testing, the paper analyzes and studies the credit risk of gem enterprises using KMV model. In this paper, the connotation of "credit risk" of enterprises is defined completely, and 20 of them are selected as samples, and the control group is adopted as the control method, taking the listed companies of China growth Enterprise Market as the research object. In Shanghai and Shenzhen stock markets, 20 St listed companies in the same industry were selected as the control group to further prove the credit risk status of gem listed companies. Finally, the empirical results are analyzed and a conclusion is drawn. This study concludes: after gem enterprises are listed, gem enterprises can not get enough long-term loans to support their development, but through empirical analysis, it can be concluded that gem enterprises can obtain long-term loans for 2-3 years. This provides a feasible reference for banks and investors.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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